基于ARIMA-GARCH與VAR模型的玉米期貨收益率波動序列特征與影響因素研究

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中圖分類號：F832.5 文獻標(biāo)識碼：A 文章編號：1004-0714（2025）04-0067-09

AStudy on the Characteristicsand Influencing Factors of the Volatility Series of Corn Futures Returns BasedonARIMA-GARCHandVARModels

LIANGHaohual，YUYazhe2，CHENYanrul，JINYuhengl （.Faculty ZhuhaiCollegeofeijingInstituteofechnology，5l9ooo，ZhuhaiGuangdong，ina）

Abstract：Thisarticlemainlyselected thedailyclosing pricedata of corn futures onthe Dalian Commodity Exchange from September 2004toApril 2024，processed thedata，and used itas asampleitoestablishan ARIMAGARCH model.Among them，the GARCH model was used to analyze the market efficiency of the corn futures market andthe pricediscoveryfunctionof corn futures;The EGARCHmodelwas used to determinethe“l(fā)everage effect” intheyieldof corn futures，and the GARCH-M model was used to determine that there is no positive correlation between thereturn and risk of corn futures.Thisarticlefurther selected theclosing pricedata of corn futuresandtheaddedvalueof thesecondaryindustryfromDalianCommodity Exchangefrom 2004to2022，and usedavector auto-regressive modellto explore the causes of the“l(fā)everageeffect”and formulated theimpact ofiindustnial added value on the“l(fā)everage effect"，which was supported by evidence.

Keywords：Corn Futures Yield;ARIMA-GARCH Model;Vector Auto-Regressive Model （VAR）

一、引言

玉米對當(dāng)今中國具有深遠的現(xiàn)實意義，它是保障國家糧食安全的關(guān)鍵作物，為畜牧業(yè)提供了重要的飼料原料，同時在工業(yè)生產(chǎn)中作為生物燃料和多種產(chǎn)品的原料發(fā)揮著重要作用。（剩余14238字）